Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.2209 |
| Annualized Std Dev | 0.4628 |
| Annualized Sharpe (Rf=0%) | 0.4773 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3542.0000 |
| NAs | 1.0000 |
| Minimum | -0.2334 |
| Quartile 1 | -0.0110 |
| Median | 0.0026 |
| Arithmetic Mean | 0.0012 |
| Geometric Mean | 0.0008 |
| Quartile 3 | 0.0150 |
| Maximum | 0.2407 |
| SE Mean | 0.0005 |
| LCL Mean (0.95) | 0.0003 |
| UCL Mean (0.95) | 0.0022 |
| Variance | 0.0008 |
| Stdev | 0.0292 |
| Skewness | -0.0462 |
| Kurtosis | 7.7371 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0211 |
| Gain Deviation | 0.0204 |
| Loss Deviation | 0.0227 |
| Downside Deviation (MAR=210%) | 0.0247 |
| Downside Deviation (Rf=0%) | 0.0206 |
| Downside Deviation (0%) | 0.0206 |
| Maximum Drawdown | 0.8385 |
| Historical VaR (95%) | -0.0465 |
| Historical ES (95%) | -0.0699 |
| Modified VaR (95%) | -0.0426 |
| Modified ES (95%) | -0.0657 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2009-03-09 | 2013-11-13 | -0.8385 | 1520 | 339 | 1181 |
| 2020-02-20 | 2020-03-20 | 2020-07-06 | -0.5494 | 95 | 22 | 73 |
| 2018-08-30 | 2018-12-24 | 2019-04-22 | -0.4435 | 160 | 80 | 80 |
| 2015-12-07 | 2016-02-09 | 2016-07-27 | -0.3084 | 161 | 44 | 117 |
| 2015-05-28 | 2015-08-25 | 2015-11-04 | -0.2901 | 113 | 63 | 50 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | -1.7 | -1.4 | 0.4 | 0.8 | -1.2 | 2.2 | 2.8 | 2.6 | -2.8 | -1.9 | -1.9 | -2.3 |
| 2008 | 10.9 | -4.8 | 5.5 | 6.3 | 1.3 | 0.6 | -1.3 | -3.9 | -1 | 0.2 | -14.4 | 1.4 | -1.3 |
| 2009 | -5.3 | -0.4 | 4.8 | 1.1 | 6.5 | 1 | -0.2 | -4.2 | -5.7 | -5 | 2.8 | -2 | -7.2 |
| 2010 | 3 | 2.6 | -0.1 | -4.1 | -2.2 | -0.9 | -0.8 | 5.4 | -0.1 | 0.4 | 4.6 | -0.4 | 7.2 |
| 2011 | 3.6 | -3.6 | -0.6 | 0.5 | -4.5 | 3.2 | -0.8 | -2.2 | -5.6 | -5.7 | 1.2 | -0.7 | -14.7 |
| 2012 | 2.3 | 1.3 | -0.8 | 0.8 | -5.8 | 6.6 | -0.7 | 1.9 | -0.7 | 3.6 | -0.4 | 3.3 | 11.7 |
| 2013 | 1.7 | -0.4 | -1.9 | -1.4 | -1.4 | 1.2 | 2.3 | -0.9 | 1.9 | -0.2 | 1.1 | 1.5 | 3.2 |
| 2014 | 0.5 | 0 | 3.1 | -0.3 | -0.1 | 2 | -1.1 | 1.4 | -3.4 | 3.4 | -2.6 | -2.4 | 0.2 |
| 2015 | -3.2 | -0.3 | -1.3 | 2.5 | 0.9 | 0.9 | -1.1 | -7.3 | 0 | -1.1 | 1.9 | -2.4 | -10.4 |
| 2016 | 0.7 | 4.7 | 1.3 | -1.6 | 0 | 0.4 | 0.6 | 0.5 | 1.3 | -1.8 | -4.8 | -2 | -1.2 |
| 2017 | 3.1 | 3 | 0.2 | 2.1 | 0.5 | 0 | 0.9 | -0.3 | 1.6 | -0.6 | -1.1 | -1.2 | 8.3 |
| 2018 | 0 | -3.3 | 4.3 | 2.6 | 3.6 | 0.1 | 2.1 | 0.2 | 0.3 | 2.1 | 1.8 | 1.3 | 15.7 |
| 2019 | 0.5 | 1.4 | 2.8 | -0.8 | -3.5 | 2.9 | -1.3 | -0.3 | -2.2 | 2.5 | -0.7 | 0.6 | 1.7 |
| 2020 | -5.2 | 2.3 | -9.2 | -6 | 1.1 | 1.2 | 5.3 | 4.4 | 2.7 | -4.2 | 2.6 | 0.2 | -5.8 |
| 2021 | 5.5 | 6.3 | 1.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 13.5 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-02-01 4.38 SPY 145. 6.00e-3 0.0165 0.0211 0.0493 0.134 0.274 0.293 GLD 65.2 0.006 0.0181
2 2007-02-02 4.40 SPY 145. 1.40e-3 0.0186 0.0243 0.0509 0.128 0.271 0.280 GLD 64.3 -0.0144 0.0028
3 2007-02-05 4.42 SPY 145. 3.00e-4 0.0197 0.0224 0.0584 0.141 0.273 0.286 GLD 64.3 0.0005 0.0085
4 2007-02-06 4.39 SPY 145. 3.00e-4 0.0147 0.031 0.0593 0.148 0.284 0.319 GLD 64.8 0.0075 0.0089
5 2007-02-07 4.45 SPY 145. 2.20e-3 0.0102 0.0285 0.0635 0.147 0.283 0.330 GLD 64.6 -0.0025 -0.0031
6 2007-02-08 4.48 SPY 145. -1.30e-3 0.0028 0.028 0.0503 0.156 0.267 0.334 GLD 65.5 0.0138 0.0046
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
